Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0012 |
| Annualized Std Dev | 0.2953 |
| Annualized Sharpe (Rf=0%) | 0.0041 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2569 |
| Quartile 1 | -0.0058 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0064 |
| Maximum | 0.4258 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0186 |
| Skewness | 1.8132 |
| Kurtosis | 79.8578 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0164 |
| Loss Deviation | 0.0158 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0128 |
| Downside Deviation (0%) | 0.0128 |
| Maximum Drawdown | 0.8318 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0409 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-22 | 2008-11-20 | NA | -0.8318 | 4280 | 1178 | NA |
| 1999-01-05 | 2000-03-28 | 2003-02-26 | -0.2843 | 1041 | 311 | 730 |
| 2003-04-17 | 2003-07-31 | 2003-11-18 | -0.0996 | 150 | 73 | 77 |
| 2003-03-17 | 2003-03-21 | 2003-04-16 | -0.0684 | 23 | 5 | 18 |
| 2004-02-23 | 2004-02-24 | 2004-03-19 | -0.0368 | 20 | 2 | 18 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.1 | 0.6 | 0.5 | 1.1 | 0 | -1.6 | -1.1 | -1.1 | 0.6 | 2.4 | 0 | 2.5 | 4.9 |
| 2000 | 0.6 | 0.7 | 0 | -0.6 | 0.7 | 0.7 | 1.3 | 0 | -1.3 | 0 | 0.7 | 0.6 | 3.3 |
| 2001 | 1.4 | 2.9 | 0.8 | -0.9 | 0.5 | 0.9 | 1.3 | -1.8 | 1.6 | 0.4 | -0.7 | 0.9 | 7.4 |
| 2002 | -0.4 | -0.6 | 0.9 | -0.8 | 0.7 | 2.1 | -1.5 | 1.2 | 0.4 | -1.4 | -1.1 | 0 | -0.5 |
| 2003 | 1.2 | -0.9 | 0.8 | -1.2 | 0.5 | -0.1 | 0.1 | 0 | 0.2 | 0.3 | 1.7 | 0.1 | 2.9 |
| 2004 | 2.1 | 0.4 | 0.6 | 2.9 | -0.3 | 1.2 | 0 | 1.5 | 1.1 | 0.5 | -1.4 | 0.7 | 9.8 |
| 2005 | 0.1 | 0.4 | 3.8 | -0.3 | 0.5 | -0.5 | 0 | 0.2 | -1.1 | 0.2 | 1.5 | 0.4 | 5.2 |
| 2006 | 0.6 | 1 | 0.1 | -0.3 | 0.5 | 1.4 | 2.6 | 1 | 0.6 | 1.3 | 0 | 0.1 | 9.2 |
| 2007 | 0.1 | -0.7 | -1.3 | 0.2 | 0.2 | 0.9 | -1.2 | 1.9 | 0.4 | -0.5 | 5.3 | -0.9 | 4.2 |
| 2008 | 6.7 | -0.9 | -1 | -0.3 | -0.3 | -2.7 | 1.5 | -0.7 | 5.8 | -0.4 | -6.6 | 9 | 9.6 |
| 2009 | -1 | -9.1 | 2.1 | 1.2 | 3.5 | 0.3 | 1.3 | -0.3 | 0.4 | -2.6 | 0.7 | -1.3 | -5.3 |
| 2010 | -0.2 | 1.2 | 0.6 | -0.5 | -1.8 | -3.1 | 0.1 | 0.5 | 0.8 | 0 | 0.2 | 1 | -1.4 |
| 2011 | 0.6 | -0.4 | 0 | 0.1 | 0.1 | 0 | 1.4 | 0.4 | 0.1 | -1.8 | 0.5 | 0.4 | 1.5 |
| 2012 | 0.1 | 0.2 | 0.5 | -0.8 | -1.8 | 0.4 | 0.6 | 0.9 | -1 | 0.1 | -0.6 | 2.3 | 0.8 |
| 2013 | 0.2 | 0.1 | -0.1 | 0.8 | -2.5 | 0.5 | -0.6 | 0 | -0.4 | 1 | -0.6 | 0.5 | -1.1 |
| 2014 | 1.5 | 0.5 | -0.1 | 0.1 | 0.1 | 0.5 | -0.8 | -0.5 | 0.4 | 0.4 | 0 | 0.3 | 2.4 |
| 2015 | -0.4 | 0.2 | 0.9 | 0.2 | 0 | 0.8 | -0.3 | 0.3 | -0.2 | 0.6 | 0.4 | 0.2 | 2.7 |
| 2016 | 1.2 | -0.3 | -0.1 | 0.8 | 0.4 | -0.9 | -0.1 | -0.6 | 0.3 | -1.6 | -0.8 | -0.1 | -1.6 |
| 2017 | -0.3 | -0.8 | 0.6 | 0.2 | -0.1 | -0.3 | 0.2 | 1.2 | 0.6 | 0.2 | 0 | 0.5 | 1.8 |
| 2018 | 0.5 | -0.2 | 0.6 | 0.8 | -0.3 | 0.1 | 0.5 | 0 | -0.9 | 0.4 | -0.2 | 3.3 | 4.7 |
| 2019 | 0.5 | 1.1 | 0 | 0.4 | 0.4 | 0.2 | -0.8 | 0.7 | 0.2 | 0.7 | 0.6 | 1.1 | 5.2 |
| 2020 | -1.1 | -3.8 | -8.3 | -0.5 | 0.7 | 2.1 | 1.7 | 0 | 0.2 | 0.1 | 1.4 | 1.6 | -6.4 |
| 2021 | 0.3 | 0.8 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
